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Investitionen in Collateralized Debt Obligations

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  • Heidorn, Thomas
  • König, Lars

Abstract

The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is carefully explained. On this basis the investment process in different tranches is described. Especially for the equity piece it can be shown, that a less diversified portfolio is more valuable. --

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Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 44.

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Date of creation: 2003
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Handle: RePEc:zbw:fsfmwp:44

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Related research

Keywords: Ausfallrisiko ; Ausfallkorrelation ; Binomial Expansion Technique ; Credit Enhancement ; Diversity Score ; Excess Spread ; Expected Loss ; Rating Arbitrage ; Target Rating ; Waterfall ; Weighted Average Rating;

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